Expected Rate Path · Percentiles · 10Y 4.12% — Steepener

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Expected Path · Percentiles · 25 Sep 2026

rank · 5y 96th

10Y: 4.12%
2s10s rank · 5y: 46th
2s5s10s rank · 5y: 95th

A percentile is today’s place inside its own record.

Expected Rate Path on 25 Sep 2026 against its five years range: 10Y sits highest at the 96th percentile, 1Y lowest at the 60th.

Where markets price short-term rates to go, once the term premium is stripped out of the Treasury curve.

Rank

10Y 4.12%: 99th of 1y, 96th of 5y, 98th of 10y, 65th of since 1990. High is a higher short rate priced over ten years.

Angles

Curve · 4.30% at the 2Y falling to a low of 4.12% at the 10Y · level bars, shaded by five-year rank; the headline maturity is outlined
History · 10Y at or above its five-year median of 3.75% for 63 sessions, 108 of the last 250 at or above · the last year of sessions split by today’s five-year median
Change · +22bp on the month, most at the 2Y (+51bp) · on the month, in basis points; amber rose, blue fell
Spread · 2s10s at −18bp, 46th percentile of five years · box is the middle half, tick the median, dotted line is zero

How to read this

What it is

A percentile is today’s place inside its own record. At the 90th, only one day in ten came in higher. Each series is scored on its history and on nothing else.

How to read the chart

Solid is today, dashed the median across that window. The pale band is the full range and the darker one the middle half.

A high rank puts today among the highest readings in its window, not high outright. The window decides whose history that is.

At the 80th percentile, the average expected short rate sat below today on four days in five across the window.

Method

A number means nothing on its own here; the window carries the claim. Widen Over and today slides from the edge of the range toward the middle, with the rate unchanged.

Source

Federal Reserve Board via FRED · fitted zero curve less the term premium · Kim-Wright · percentiles computed here

Expected Rate Path in detail

25 Sep 2026 · Kim-Wright fitted zero minus premium, Federal Reserve Board via FRED, differenced here. Released in batches, so its axis trails Treasury

Curve

Tenor	Expected rate	1D	1W	1M	1Y	%ile 5y
1Y	4.22%	−1	+9	+46	+61	60
2Y	4.30%	−1	+11	+51	+82	72
3Y	4.29%	−1	+11	+48	+83	80
5Y	4.23%	−1	+10	+38	+70	91
7Y	4.17%	0	+9	+30	+56	95
10Y	4.12%	0	+7	+22	+42	96

tenors 1, 5, 21, 252 trading days; anchors 1, 7, 30, 365 calendar

Slope

Pair	BP	1D	1W	1M	%ile 5y
1s5s	+1bp	0	0	−8	69
2s5s	−7bp	+1	−1	−13	52
5s10s	−10bp	+1	−2	−16	35
2s10s	−18bp	+1	−3	−29	46

long − short, in basis points

Curvature

Fly	BP	1D	1W	1M	%ile 5y
2s5s10s	+3bp	0	+1	+3	95

2 × belly − wings, 50-50 weighted, not duration-neutral

Slope-neutral

Fly	BP	1D	1W	1M	%ile 5y
2s5s10s	+20bp	0	+2	+7	97

the fly with 2s10s regressed out over five years

State

Line	Value	Detail
2s10s	−18bp	10Y below 2Y
Month level	+36bp	mean of 2Y and 10Y, over 31 calendar days
Month slope	−29bp	change in 2s10s, over 31 calendar days

Anchors

Anchor	Value	Detail
NBER (dated to 1 Sep 2026)	not in a dated recession	NBER dates turning points about a year late

Spreads and butterflies are derived here from the expected short-rate curve, which is itself derived here from the Kim-Wright fitted zero and term premium. They are not published by any source. A dash means the value could not be computed or was too thin to rank, never zero.